Improved Metropolis-Hastings algorithms via landscape modifcation with applications to simulated annealing and the Curie-Weiss model
| Autor: | Choi, Michael C. H. |
|---|---|
| Rok vydání: | 2020 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| DOI: | 10.1017/apr.2023.35 |
| Popis: | In this paper, we propose new Metropolis-Hastings and simulated annealing algorithms on finite state space via modifying the energy landscape. The core idea of landscape modification rests on introducing a parameter $c$, in which the landscape is modified once the algorithm is above this threshold parameter to encourage exploration, while the original landscape is utilized when the algorithm is below the threshold for exploitation purpose. We illustrate the power and benefits of landscape modification by investigating its effect on the classical Curie-Weiss model with Glauber dynamics and external magnetic field in the subcritical regime. This leads to a landscape-modified mean-field equation, and with appropriate choice of $c$ the free energy landscape can be transformed from a double-well into a single-well, while the location of the global minimum is preserved on the modified landscape. Consequently, running algorithms on the modified landscape can improve the convergence to the ground-state in the Curie-Weiss model. In the setting of simulated annealing, we demonstrate that landscape modification can yield improved or even subexponential mean tunneling time between global minima in the low-temperature regime by appropriate choice of $c$, and give convergence guarantee using an improved logarithmic cooling schedule with reduced critical height. We also discuss connections between landscape modification and other acceleration techniques such as Catoni's energy transformation algorithm, preconditioning, importance sampling and quantum annealing. The technique developed in this paper is not only limited to simulated annealing and is broadly applicable to any difference-based discrete optimization algorithm by a change of landscape. Comment: 30 pages, 6 figures. To appear in Advances in Applied Probability |
| Databáze: | arXiv |
| Externí odkaz: |
|